Autotrade Options

[windswepttom]

Hi
I'm looking for a DLL to autotrade options from an efs to IB. I have not found one, anybody know of any?

I tried using the buy() in efs and it did not work. Ninjatrader said maybe later this year.

Or can anybody suggest a work around like writing the info to a file and then using another application (Excel, JSystemTrader, email, or some automation software, or someone to build me a DLL?) to make the trade?

Thanks

Tom

[demarcog]

Re: Autotrade Options

Tom,

Originally posted by windswepttom
Hi
I'm looking for a DLL to autotrade options from an efs to IB. I have not found one, anybody know of any?

I tried using the buy() in efs and it did not work. Ninjatrader said maybe later this year.

Or can anybody suggest a work around like writing the info to a file and then using another application (Excel, JSystemTrader, email, or some automation software, or someone to build me a DLL?) to make the trade?

Thanks

Tom

I just got IB autotrading recently and it's sweet to watch and implemented entirely in the EFS javascripting language.

Do you have any specific reason to be looking for a DLL which unless you are professional developer and in need of some unavailable functionality may not be necessary?

If not install the IB plugin, Set the trade preferences, startup TWS and eSignal and away you go.

[clearpicks]

Re: Autotrade Options

I just tried TWLink. It worked.

- Clearpicks

Originally posted by windswepttom
Hi
I'm looking for a DLL to autotrade options from an efs to IB. I have not found one, anybody know of any?

I tried using the buy() in efs and it did not work. Ninjatrader said maybe later this year.

Or can anybody suggest a work around like writing the info to a file and then using another application (Excel, JSystemTrader, email, or some automation software, or someone to build me a DLL?) to make the trade?

Thanks

Tom

[windswepttom]

Hi Demarcog & Clearpicks

I tries to find the IB plugin and TWlink in Google and did not find them.

Can you post a link?

Thanks

Tom

[clearpicks]

http://www.trade-commander.org/

pmd.esignal.com/ib

Originally posted by windswepttom
Hi Demarcog & Clearpicks

I tries to find the IB plugin and TWlink in Google and did not find them.

Can you post a link?

Thanks

Tom

[windswepttom]

Thanks Clearpicks

Have you tried placing an options order?

And can you get the options chain with the delta?

Thanks
Tom

[demarcog]

Re: Re: Autotrade Options

Hi Clearpicks,

Originally posted by clearpicks
I just tried TWLink. It worked.

- Clearpicks

I don't know anything about TWLink and just started using IB.

How would you compare it with the IB provided API for VB, java, C++?

What functions not provided by the generic broker calls do you need?

What language/compiler did you get it working with?


Anyway theres always tradoffs, I have enough on my plate with finding EFS strategies that make money. I'm very satisfied with the EFS strategy to IB functionality as it get my trades sent automatically when a signal occurs and is solid so far.

Although a Strategy.isInTrade() type method would be great to quesry if a stop or limit was filled for an order place on an earlier bar from which the trade was filled.

Good maybe you guys can share the burden and code :>) with other forum members..as unlike strategies the code objective should be the same.

Glen

[clearpicks]

No, I didnot. I only tried futures and stocks. I see no reason why option orders do not work.

Originally posted by windswepttom
Thanks Clearpicks

Have you tried placing an options order?

And can you get the options chain with the delta?

Thanks
Tom

[clearpicks]

Re: Re: Re: Autotrade Options

Hi Glen,

I think TWSLink is developed based on one of IB TWS API. I am not sure whether it is based on VB or C++.

The generic broker functions in current IBBridge lacks quite a few important functions such as retrieving order status, account positions, etc. I think these are on eSignal team's next development plan ( see Brent's posts ).

As far the EFS generic broker functions are exactly what I need at this stage, I am just playing with other tools such as TWSLink and NinjaTrader as backup techniques.

- Clearpicks

Originally posted by demarcog
Hi Clearpicks,



I don't know anything about TWLink and just started using IB.

How would you compare it with the IB provided API for VB, java, C++?

What functions not provided by the generic broker calls do you need?

What language/compiler did you get it working with?


Anyway theres always tradoffs, I have enough on my plate with finding EFS strategies that make money. I'm very satisfied with the EFS strategy to IB functionality as it get my trades sent automatically when a signal occurs and is solid so far.

Although a Strategy.isInTrade() type method would be great to quesry if a stop or limit was filled for an order place on an earlier bar from which the trade was filled.

Good maybe you guys can share the burden and code :>) with other forum members..as unlike strategies the code objective should be the same.

Glen

[windswepttom]

Hi Clearpicks,

Thank you, Thank you, Thank you.

It looks like just what I needed, it is nice and low level (not for everyone).

I started autotrading with eSignal broker functions and found them lacking. Then I started using Ninjatrader because I wanted to know the status of my order and what it filled at and so on. I was happy with Ninjatrader untill I wanted to do options.

With TWSLink I can get the bid, ask, last, Implied Volatility and delta for an option if I know the option name. All I need is to do is load a SQL data base with the option chains.

So now I need an SQL data base that I can make SQL calls with a DLL. Anyone know of any?

I also need to download the options chains to load the database. Anyone know of a source?

Thank You
Tom

[demarcog]

Originally posted by windswepttom
Hi Clearpicks,

Thank you, Thank you, Thank you.

It looks like just what I needed, it is nice and low level (not for everyone).

I started autotrading with eSignal broker functions and found them lacking. Then I started using Ninjatrader because I wanted to know the status of my order and what it filled at and so on. I was happy with Ninjatrader untill I wanted to do options.

With TWSLink I can get the bid, ask, last, Implied Volatility and delta for an option if I know the option name. All I need is to do is load a SQL data base with the option chains.

So now I need an SQL data base that I can make SQL calls with a DLL. Anyone know of any?

I also need to download the options chains to load the database. Anyone know of a source?

Thank You
Tom

Tom,

Wow, I had no idea that the option greeks and volatility infomation was available through TWSLink that is amazing and something I will be looking into seriously.

The feed you need is the OPRA , Options Price Reporting Authority
feed which consolidates price data from the 6 options exchanges.

The cost for the feed itself is enormous and the infrastructure required to process it at 150k messages a second is equally daunting.

I can't imagine that you could go through the overhead of SQL managing that much data in a performance critical options trading app.

I have a few friends who've managed to process the data with superior performace characteristics but you are talking many,many thousands of lean low level C/C++ code processing gigabytes of memory resident binary tables etc etc etc...

[demarcog]

Re: Re: Re: Re: Autotrade Options

Originally posted by clearpicks
Hi Glen,

I think TWSLink is developed based on one of IB TWS API. I am not sure whether it is based on VB or C++.

The generic broker functions in current IBBridge lacks quite a few important functions such as retrieving order status, account positions, etc. I think these are on eSignal team's next development plan ( see Brent's posts ).

As far the EFS generic broker functions are exactly what I need at this stage, I am just playing with other tools such as TWSLink and NinjaTrader as backup techniques.

- Clearpicks

Is there a difference between the generic broker functions in IBBridge and the EFS generic broker functions as I thought they were the same?

So you didn't have to compile anything to use TWSLink?

The link you sent looked like an function API document and I figured it was a big deal to develop, maintain and incorporate the DLL into an EFS strategy.

[windswepttom]

Hi Glen,

Thank you for the info.

I do not think I need the OPRA feed and expense. I think if I have the OPRA name, strike, underlining, put/call and ex date in a data base I can do an SQL query using the underlining, ex date put/call and ATM strike to get the first OPRA name. Then I could use TWSLink to get the delta, bid and ask. Then analyze it with EFS, then I could fetch the next one and use TWSLink for the delta, bid and ask and so on I until get the one I needed.

Then I could place a limit order at the mid. Then check for the fill with TWSLink and so on.

Tom

[windswepttom]

Hi Glen,
Nothing to compile to use a DLL in EFS. It's no big deal to access a DLL.
Tom

[clearpicks]

Hi Glen,

After you download TWSLink and unzip it, you may find a sample EFS file in the sample fold. I will provide a more complete efs file to the TWSLink author later this week. Currently it only demostrates a simple buy and sell action. Nevertheless, it works.

As for the automatic trading script implementation, EFS is basically an event driven system, and it seems there is no way to
schedule timer or register callback functions to be called back by the DLL (the TWSLink does support callback but EFS does not), there might be more things need to be taken care of if going with TWSLink.


- Clearpicks